The economic drivers of commodity market volatility

Marcel Prokopczuk, Andrei Stancu, Lazaros Symeonidis

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33 Citations (Scopus)
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Abstract

We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and fluctuations in business conditions bear significant predictive ability for commodity market volatility. The documented predictability is mainly observed in the period after the financialization of commodity markets (i.e. post–2004) and it peaks during the 2008–2009 global financial crisis.
Original languageEnglish
Article number102063
JournalJournal of International Money and Finance
Volume98
Early online date13 Jul 2019
DOIs
Publication statusPublished - Nov 2019

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